波动率自适应海肯阿希ATR追踪止损趋势交易策略

/*backtest
start: 2024-08-18 00:00:00
end: 2025-08-17 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_OKX","currency":"DOGE_USDT","balance":5000}]
*/

//@version=6
strategy(title="Mutanabby_AI | ATR+ | ")  // Ensures realistic execution

// 📊 INPUT PARAMETERS
//=============================================================================
a = input.int(1, title="🔧 Key Value (Sensitivity)", minval=1, maxval=10, 
              tooltip="Lower = More signals, Higher = Fewer signals")
c = input.int(10, title="📈 ATR Period", minval=1, maxval=500,
              tooltip="Period for ATR calculation")

// 🕯️ HEIKIN ASHI METHOD SELECTION
//=============================================================================
ha_method = input.string("Manual Calculation", title="🕯️ Heikin Ashi Method", 
                         options=["Manual Calculation", "ticker.heikinashi()", "Regular Candles"], 
                         tooltip="Manual = Most reliable, ticker.heikinashi = Good, Regular = Standard OHLC")

// 🛡️ STOP LOSS SETTINGS
//=============================================================================
use_stop_loss = input.bool(false, title="🛡️ Enable Stop Loss", 
                           tooltip="Enable stop loss at entry price level")
stop_loss_type = input.string("Percentage", title="📊 Stop Loss Type", 
                               options=["Percentage", "Fixed Points"], 
                               tooltip="Choose stop loss calculation method")
stop_loss_percent = input.float(2.0, title="📉 Stop Loss %", minval=0.1, maxval=50.0, step=0.1,
                                 tooltip="Stop loss percentage below entry price")
stop_loss_points = input.float(10.0, title="📉 Stop Loss Points", minval=0.1, step=0.1,   tooltip="Stop loss in price points below entry price")



// Date condition
date_condition = true

// 🎨 VISUAL SETTINGS
//=============================================================================
show_signals = input.bool(true, title="🎯 Show Buy/Sell Signals")
show_trailing_stop = input.bool(true, title="📈 Show ATR Trailing Stop")
show_stop_loss = input.bool(true, title="🛡️ Show Stop Loss Line")
show_bar_colors = input.bool(true, title="🎨 Color Bars")
show_position_info = input.bool(true, title="📊 Show Position Info")

// 🧮 HEIKIN ASHI CALCULATIONS
//=============================================================================

// METHOD 1: MANUAL HEIKIN ASHI CALCULATION (MOST RELIABLE)
//=============================================================================
// Manual HA calculation - most transparent and reliable
var float ha_open_manual = na
ha_close_manual = (open + high + low + close) / 4
ha_open_manual := na(ha_open_manual[1]) ? (open + close) / 2 : (ha_open_manual[1] + ha_close_manual[1]) / 2
ha_high_manual = math.max(high, math.max(ha_open_manual, ha_close_manual))
ha_low_manual = math.min(low, math.min(ha_open_manual, ha_close_manual))

// METHOD 2: TICKER.HEIKINASHI() (GOOD ALTERNATIVE)
//=============================================================================
// Get Heikin Ashi data via ticker.heikinashi() - non-repainting
ha_ticker = ticker.heikinashi(syminfo.tickerid)
[ha_open_ticker, ha_high_ticker, ha_low_ticker, ha_close_ticker] =   request.security(ha_ticker, timeframe.period, [open[1], high[1], low[1], close[1]],  lookahead=barmerge.lookahead_on)  // Use confirmed bars to prevent repainting

// METHOD 3: REGULAR CANDLES
//=============================================================================
// Regular OHLC data
ha_open_regular = open
ha_high_regular = high
ha_low_regular = low
ha_close_regular = close

// SELECT METHOD BASED ON USER INPUT
//=============================================================================
src = ha_method == "Manual Calculation" ? ha_close_manual : 
      ha_method == "ticker.heikinashi()" ? ha_close_ticker : ha_close_regular

source_open = ha_method == "Manual Calculation" ? ha_open_manual : 
              ha_method == "ticker.heikinashi()" ? ha_open_ticker : ha_open_regular
              
source_high = ha_method == "Manual Calculation" ? ha_high_manual : 
              ha_method == "ticker.heikinashi()" ? ha_high_ticker : ha_high_regular
              
source_low = ha_method == "Manual Calculation" ? ha_low_manual : 
             ha_method == "ticker.heikinashi()" ? ha_low_ticker : ha_low_regular

// 📊 ATR TRAILING STOP CALCULATION
//=============================================================================
// Calculate True Range using selected method
tr1 = source_high - source_low
tr2 = math.abs(source_high - src[1])
tr3 = math.abs(source_low - src[1])
tr = math.max(tr1, math.max(tr2, tr3))

// ATR calculation
xATR = ta.sma(tr, c)
nLoss = a * xATR

// ATR Trailing Stop logic
var float xATRTrailingStop = na
xATRTrailingStop := if src > nz(xATRTrailingStop[1], 0) and src[1] > nz(xATRTrailingStop[1], 0)
    math.max(nz(xATRTrailingStop[1]), src - nLoss)
else if src < nz(xATRTrailingStop[1], 0) and src[1] < nz(xATRTrailingStop[1], 0)
    math.min(nz(xATRTrailingStop[1]), src + nLoss)
else if src > nz(xATRTrailingStop[1], 0)
    src - nLoss
else
    src + nLoss

// Position state tracking
var int pos = na
pos := if src[1] < nz(xATRTrailingStop[1], 0) and src > nz(xATRTrailingStop[1], 0)
    1
else if src[1] > nz(xATRTrailingStop[1], 0) and src < nz(xATRTrailingStop[1], 0)
    -1
else
    nz(pos[1], 0)

// 🎯 SIGNAL GENERATION
//=============================================================================
// EMA for crossover detection
ema_val = ta.ema(src, 1)

// Crossover conditions
above = ta.crossover(ema_val, xATRTrailingStop)
below = ta.crossover(xATRTrailingStop, ema_val)

// Buy and sell signals
buy_signal = src > xATRTrailingStop and above
sell_signal = src < xATRTrailingStop and below

// Trend direction
is_uptrend = src > xATRTrailingStop
is_downtrend = src < xATRTrailingStop

// 🛡️ STOP LOSS CALCULATION
//=============================================================================
var float entry_price = na
var float stop_loss_level = na

// Calculate stop loss level
calculate_stop_loss(entry_price_val) =>
    if stop_loss_type == "Percentage"
        entry_price_val * (1 - stop_loss_percent / 100)
    else
        entry_price_val - stop_loss_points

// 📈 LONG ONLY STRATEGY LOGIC
//=============================================================================
var bool in_long_position = false

// Entry condition: Buy signal when not in position
long_entry = buy_signal and date_condition and not in_long_position

// Exit conditions - CRITICAL: Use real prices for stop loss, not HA prices
atr_exit = sell_signal and date_condition and in_long_position
stop_loss_hit = use_stop_loss and in_long_position and low <= stop_loss_level  // Uses real low price

// Combined exit condition
long_exit = atr_exit or stop_loss_hit

// Execute trades - Orders execute at REAL market prices
if long_entry
    strategy.entry("LONG", strategy.long, comment="🚀 LONG")
    in_long_position := true
    entry_price := close  // REAL entry price, not HA price
    stop_loss_level := use_stop_loss ? calculate_stop_loss(entry_price) : na

if long_exit
    exit_reason = stop_loss_hit ? "🛡️ STOP LOSS" : "💰 ATR EXIT"
    strategy.close("LONG", comment=exit_reason)
    in_long_position := false
    entry_price := na
    stop_loss_level := na

// 🎨 VISUAL ELEMENTS
//=============================================================================
// Trailing stop line color
stop_color = pos == 1 ? color.green : pos == -1 ? color.red : color.blue

// Plot ATR Trailing Stop
plot(show_trailing_stop ? xATRTrailingStop : na, 
     color=stop_color, 
     linewidth=2, 
     title="ATR Trailing Stop")

// Plot Stop Loss Level
plot(show_stop_loss and use_stop_loss and in_long_position ? stop_loss_level : na,
     color=color.new(color.red, 0), 
     linewidth=2, 
     style=plot.style_linebr,
     title="Stop Loss Level")

// Plot buy/sell signals
plotshape(show_signals and buy_signal, 
          title="Buy Signal", 
          text="BUY", 
          style=shape.labelup, 
          location=location.belowbar,
          color=color.new(color.green, 0), 
          textcolor=color.white, 
          size=size.small)

plotshape(show_signals and sell_signal, 
          title="Sell Signal", 
          text="SELL", 
          style=shape.labeldown, 
          location=location.abovebar,
          color=color.new(color.red, 0), 
          textcolor=color.white, 
          size=size.small)

// Plot stop loss hit signal
plotshape(show_signals and stop_loss_hit, 
          title="Stop Loss Hit", 
          text="SL", 
          style=shape.labeldown, 
          location=location.abovebar,
          color=color.new(color.orange, 0), 
          textcolor=color.white, 
          size=size.small)

// Bar coloring
barcolor(show_bar_colors ? (is_uptrend ? color.new(color.green, 70) : 
         is_downtrend ? color.new(color.red, 70) : na) : na)

// Position status background
bgcolor(show_position_info and strategy.position_size > 0 ?  color.new(color.green, 95) : show_position_info and strategy.position_size == 0 ?   color.new(color.gray, 98) : na,   title="Position Status")

// Entry price line - shows REAL entry price
plot(show_position_info and strategy.position_size > 0 ? strategy.position_avg_price : na,
     color=color.new(color.blue, 0), 
     linewidth=1, 
     style=plot.style_linebr, 
     title="Entry Price")

// 📊 INFORMATION TABLE
//=============================================================================
if show_position_info and barstate.islast
    var table info_table = table.new(position.top_right, 3, 11, 
                                      bgcolor=color.white, 
                                      border_width=1,
                                      border_color=color.gray,
                                      frame_width=1,
                                      frame_color=color.black)
    
    // Table headers
    table.cell(info_table, 0, 0, "Mutanabby_AI | Manual HA | ATR | SL", text_color=color.white, bgcolor=color.blue, text_size=size.small)
    table.cell(info_table, 1, 0, "", text_color=color.white, bgcolor=color.blue)
    table.cell(info_table, 2, 0, "", text_color=color.white, bgcolor=color.blue)
    
    // Strategy info
    table.cell(info_table, 0, 1, "HA Method:", text_color=color.rgb(10, 10, 10), text_size=size.small)
    method_color = ha_method == "Manual Calculation" ? color.green : 
                   ha_method == "ticker.heikinashi()" ? color.blue : color.gray
    table.cell(info_table, 1, 1, ha_method, text_color=method_color, text_size=size.small)
    
    table.cell(info_table, 0, 2, "Key Value:", text_color=color.rgb(10, 10, 10), text_size=size.small)
    table.cell(info_table, 1, 2, str.tostring(a), text_color=color.blue, text_size=size.small)
    
    table.cell(info_table, 0, 3, "ATR Period:", text_color=color.rgb(2, 2, 2), text_size=size.small)
    table.cell(info_table, 1, 3, str.tostring(c), text_color=color.blue, text_size=size.small)
    
    table.cell(info_table, 0, 4, "Stop Loss:", text_color=color.rgb(3, 3, 3), text_size=size.small)
    table.cell(info_table, 1, 4, use_stop_loss ? "ON" : "OFF", 
               text_color=use_stop_loss ? color.green : color.gray, text_size=size.small)
    
    table.cell(info_table, 0, 5, "Position:", text_color=color.rgb(3, 3, 3), text_size=size.small)
    table.cell(info_table, 1, 5, strategy.position_size > 0 ? "LONG" : "NONE", 
               text_color=strategy.position_size > 0 ? color.green : color.gray, text_size=size.small)
    
    table.cell(info_table, 0, 6, "Trend:", text_color=color.rgb(0, 0, 0), text_size=size.small)
    table.cell(info_table, 1, 6, is_uptrend ? "UP" : "DOWN", 
               text_color=is_uptrend ? color.green : color.red, text_size=size.small)
    
    table.cell(info_table, 0, 7, "Current Price:", text_color=color.black, text_size=size.small)
    table.cell(info_table, 1, 7, str.tostring(close, "#.##"), text_color=color.black, text_size=size.small)
    
    table.cell(info_table, 0, 8, "Trailing Stop:", text_color=color.black, text_size=size.small)
    table.cell(info_table, 1, 8, str.tostring(xATRTrailingStop, "#.##"), text_color=color.blue, text_size=size.small)
    
    // Show stop loss level if enabled and in position
    if use_stop_loss and in_long_position
        table.cell(info_table, 0, 9, "Stop Loss:", text_color=color.black, text_size=size.small)
        table.cell(info_table, 1, 9, str.tostring(stop_loss_level, "#.##"), text_color=color.red, text_size=size.small)
    else
        table.cell(info_table, 0, 9, "Stop Loss:", text_color=color.black, text_size=size.small)
        table.cell(info_table, 1, 9, "N/A", text_color=color.gray, text_size=size.small)
    
    table.cell(info_table, 0, 10, "Last Signal:", text_color=color.black, text_size=size.small)
    signal_text = buy_signal ? "BUY" : sell_signal ? "SELL" : stop_loss_hit ? "STOP LOSS" : "NONE"
    signal_color = buy_signal ? color.green : sell_signal ? color.red : stop_loss_hit ? color.orange : color.gray
    table.cell(info_table, 1, 10, signal_text, text_color=signal_color, text_size=size.small)

// 🚨 ALERTS
//=============================================================================
// Alert conditions
alertcondition(buy_signal, title="🚀 Mutanabby_AI | ATR+ LONG Entry", 
               message="Mutanabby_AI | ATR+ : BUY signal at {{close}}")

alertcondition(sell_signal, title="💰 Mutanabby_AI | ATR+ LONG Exit", 
               message="Mutanabby_AI | ATR+ : SELL signal at {{close}}")

alertcondition(stop_loss_hit, title="🛡️ Mutanabby_AI | ATR+ Stop Loss Hit", 
               message="Mutanabby_AI | ATR+ : STOP LOSS hit at {{close}}")

alertcondition(buy_signal or sell_signal or stop_loss_hit, title="🔔 Mutanabby_AI | ATR+ Any Signal", 
               message="Mutanabby_AI| ATR+ : {{ticker}} - {{close}} - Signal: {{strategy.position_size > 0 ? 'EXIT' : 'ENTRY'}}")

//=============================================================================
// 📝 STRATEGY NOTES:
//
// 🎯 OPTIMAL IMPLEMENTATION for realistic backtesting:
// 📈 Uses manual HA calculation for transparency and reliability
// 💰 Orders execute at REAL market prices (not synthetic HA prices)  
// 🛡️ Stop loss uses real market prices for accurate risk management
// 🔧 Multiple HA methods available for comparison and validation
// ⚡ Added fill_orders_on_standard_ohlc=true for extra protection
// 
// 🎯 METHOD COMPARISON:
// 🥇 Manual Calculation: Most reliable, transparent, no external dependencies
// 🥈 ticker.heikinashi(): Good alternative, uses confirmed bars to prevent repainting
// 🥉 Regular Candles: Standard OHLC for comparison purposes
//
// 💡 BEST PRACTICES IMPLEMENTED:
// ✅ Always run on regular candlestick charts (not native HA charts)
// ✅ Use confirmed/historical HA values to prevent repainting
// ✅ Execute all orders at real market prices
// ✅ Stop loss based on real prices, not synthetic HA prices
// ✅ Entry price tracking uses actual fill prices
// ✅ Transparent calculation methods for verification
//
// 🚨 AVOID:
// ❌ Running strategies directly on TradingView's native HA charts
// ❌ Using current bar HA values (causes repainting)
// ❌ Stop loss based on HA prices instead of real prices
//=============================================================================

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